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| Deloitte & Touche: Heads Up Report by Deloitte & Touche on FAS 138, which amends FAS 133, a study of accounting for derivatives and hedging. | |
| Trading the Term TED Spread Illustrative class notes by Galen Burghart that follow a term TED spread example. | ||
| Dresdner Bank's Introduction to Interest Rate Risk Management Dresdner Bank's corporate group outlines the use of forward-rate agreements, swaps, caps and floors to hedge interest-rate risk. | ||
| Money Market Futures In-depth study of money market futures pricing and application by the Richmond Federal Reserve Bank. | ||
| Hedging with Eurodollar Futures Class notes by Galen Burghart that detail the calculation of hedge ratios using Eurodollar futures. | ||
| Financewise: Interest Rate Risk Feature articles that detail management of interest rate risk and related topics. | ||
| Duration and Cash Flow Matching Lecture notes from the University of Illinois on hedging interest rate risk via duration and cash flow matching. | ||
| Management of Interest Rate Risk Discussion paper on sources of interest rate risk and management of this risk, by the Basle Committee on Banking Supervision. | ||
| The Treasury-Agency Spread Guide to trading the spread between Treasury and Agency bonds using the CBOT's futures products. | ||
| Eurodollar Options Hedging Case Study Hedging strategies and accounting under SFAS 133/IAS 39 for Eurodollar interest rate options to cap borrowing rates on forecasted loan transactions. Presented in a case study by Bob Jensen of Trinity University. | ||
| Interest Rate Option Risk Management Model Building-block approach to pricing interest rate options using Libor volatilities and the forward curve. | ||
| Riskcenter.com - Market Risk Provider of news and articles on identifying and managing market risk. | ||
| Hedging Swap Risk Guide to using 10 year note agency futures to hedge interest rate swap risk. | ||
| A Comprehensive Model for Managing Credit Risk on Home Mortgage Portfolios Paper by Douglas Smith, Susan Sanchez and Edward Lawrence. | ||
| British Banking Association Interest Rate Swaps Contract A standard swap contract suggested by the BBA. | ||
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